LW as a P2P client itself is not illigal, also its use is not illigal.
However, depending on the country you live, the download of copyright protected things might be illigal. To tell what stuff might be illigal to download, you can follow a thumb rule. It is sold in a shop, it is a blockbuster or in the charts, it was shown in TV (i.e. Series'), then it is most likely protected by copyright laws.
